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HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model

Author

Listed:
  • Agnieszka Janek

    (Wroclaw University of Technology)

  • Rafal Weron

    (Wroclaw University of Technology)

Programming Language

MATLAB

Abstract

HESTONVANILLA returns the price of a European Call or Put option given spot price S, strike K, initial volatility V0, vol of vol VV, domestic interest rate RD, foreign interest rate RF, time to maturity (in years) TAU, level of mean reversion KAPPA, long-run variance THETA, market price of volatility risk LAMBDA and correlation RHO.

Suggested Citation

  • Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model," Statistical Software Components M430003, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:m430003
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/h/hestonvanilla.m
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